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New trends in financial engineering : works under the auspices of the World Class University Program of Ajou University /
Financial engineering is defined as the application of mathematical methods to the solution of problems in finance. The recent financial crisis raised many challenges for financial engineers: not only were financially engineered products such as collateralized debt obligations and credit default swa...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor Corporativo: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Amsterdam ; Washington, D.C. :
IOS Press,
©2011.
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| Colección: | Studies in probability, optimization, and statistics ;
v. 4. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Title Page; Contents; Preface; Real Options and Variational Inequalities; Introduction; Complete Market and Risk-Neutral Pricing; Evolution of the Resource Process; The Classical Real Options Model
- A Single Player (Monopolist); Economic Framework; The Monopolist's Problem and Its Solution; Real Options and Competition; The Economic Framework; Investment Payoff Formulation for Players; The Stackelberg Leader-Follower Game; The Preemption Game; Stackelberg Leader's Lowest Threshold, y1, vs. Optimal Threshold for Leading Firm in Preemption Game, y.